Probability and Statistics Seminar   RSS

20/11/2009, 16:00 — 17:00 — Room P12, Mathematics Building
Rui Paulo, ISEG and CEMAPRE, Technical University of Lisbon

Validation of Computer Models with Multivariate Output

We consider the problem of validating computer models that produce multivariate output, particularly when the model is computationally demanding. Our strategy builds on Gaussian process-based response-surface approximations to the output of the computer model independently constructed for each of its components. These are then combined in a statistical model involving field observations to produce a predictor of the multivariate output at untested input vectors. We illustrate the methodology in a situation where the output consists of a two-dimensional output of very irregular functions.